Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3380
Annualized Std Dev 0.5696
Annualized Sharpe (Rf=0%) -0.5935

Row

Daily Return Statistics

Close
Observations 3544.0000
NAs 1.0000
Minimum -0.3801
Quartile 1 -0.0170
Median -0.0021
Arithmetic Mean -0.0010
Geometric Mean -0.0016
Quartile 3 0.0141
Maximum 0.2545
SE Mean 0.0006
LCL Mean (0.95) -0.0022
UCL Mean (0.95) 0.0002
Variance 0.0013
Stdev 0.0359
Skewness -0.0258
Kurtosis 10.1581

Downside Risk

Close
Semi Deviation 0.0248
Gain Deviation 0.0282
Loss Deviation 0.0258
Downside Deviation (MAR=210%) 0.0298
Downside Deviation (Rf=0%) 0.0253
Downside Deviation (0%) 0.0253
Maximum Drawdown 0.9985
Historical VaR (95%) -0.0521
Historical ES (95%) -0.0817
Modified VaR (95%) -0.0529
Modified ES (95%) -0.0686
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9985 3091 3088 NA
2007-03-06 2008-06-18 2008-10-06 -0.6324 402 326 76
2008-10-28 2008-11-04 2008-11-20 -0.4286 18 6 12
2008-10-13 2008-10-20 2008-10-24 -0.2784 10 6 4
2007-02-12 2007-02-26 2007-03-02 -0.0985 14 10 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 2.4 0.8 1.8 -1.5 -1.2 0.7 -3.3 -3.4 6.7 -1.1 1.9 3.5
2008 -5.4 7.2 -4.6 1.5 -2.5 2.3 5.3 1.8 3.3 -2.9 19.8 -3.4 21.9
2009 7.5 0.7 -7.5 -3.3 -8.6 0 -2.9 5.5 7.9 7.6 -3.2 2.7 4.7
2010 -8.9 -4 -4.1 4.4 7.9 1.7 -1.4 -6.7 -3 -0.4 -5.4 -0.2 -19.4
2011 -5.9 4.4 -0.5 -1.3 6.1 -2.1 0.5 3.1 7.7 5.6 1.2 -0.2 19.3
2012 -2.8 -1.5 -0.8 -1.3 4.2 -6 0.4 -2.4 -1 -5 -0.1 -4.2 -19.1
2013 -1.9 1.1 2.7 4.3 2.4 -1.6 -1.3 0.5 -1 0.3 -0.1 -0.7 4.6
2014 1 -0.6 -1.4 0.9 0.3 -0.6 -0.1 -0.5 4.7 -4 2.3 1.9 3.8
2015 0.3 0.4 0.3 -3.1 1.3 -0.3 0.7 6.5 -1.7 -0.5 -1.2 1.4 3.8
2016 -0.6 -4.7 -1.2 0.7 -0.7 -0.8 0.9 -0.5 -1.5 1.2 0.2 1.5 -5.5
2017 -0.9 -3.9 0 0.2 -3.1 -1 -0.3 -1 -0.2 -0.8 1.9 0.1 -8.7
2018 2.9 2.4 -3.7 2.4 -1.7 -1.1 2.4 0.4 1.7 -6.6 0.1 -0.7 -1.9
2019 -1 0.3 -3.2 3.7 2.8 -1 2.2 -1.2 4.7 -3.3 0.9 -1.5 2.9
2020 4.2 4.5 8.9 5.3 -1.6 0.9 -0.8 -4.5 2.8 0.9 -2.3 -0.6 18.4
2021 -2.9 -4.5 0.4 NA NA NA NA NA NA NA NA NA -6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 2696. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02 2725. SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05 2710. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-08 2694. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
5 2007-02-09 2729. SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
6 2007-02-12 2709. SPY    143. -3.40e-3  -0.0097   0.0091   0.0327    0.135    0.249    0.303 GLD    65.7 -0.0068   0.0211
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart